Connected component is highly connected subgraph of the graph. Thus, every graph may be divided to several connected components.
In order to find connected components you have to choose Algorithms -> Find connected components in the menu bar. You will see the result immediately. Distinct connected components will be marked with distinct colours and will have a unique number.
Graph Online finds connected component for non-oriented graphs and it finds weakly connected component for oriented graphs. Breadth-first search is used for search. Implementation on JavaScript could be seen here: http://graphonline.ru/script/plugins/ConnectedComponent.js